The Excel Mduration function calculates the modified Macaulay Duration of a security that pays periodic interest, assuming a par value of $100.
Where the arguments are as follows:
|settlement||-||The settlement date of the security (ie. the date that the coupon is purchased)|
|maturity||-||The maturity date of the security (ie. the date that the coupon expires)|
|coupon||-||The security's annual coupon rate|
|yld||-||The security's annual yield|
The number of coupon payments per year. This must be one of the following:
An optional integer argument which specifies the financial day count basis that is used by the security. Possible values are:
Note that the date arguments should be supplied to the function as either:or
The following spreadsheet uses the Excel Mduration function to calculate the modified Macaulay Duration of a security that with a settlement date 01-Apr-2010, a maturity date 31-Mar-2020 and a yield of 8%. The coupon rate is 10% and payments are made quarterly.
|3||=MDURATION( B1, B2, 10%, 8%, 4 )|
The above Mduration function returns the value 6.540828452 years.
Note that, in the above Mduration function call :
Further examples of the Excel Mduration function can be found on the Microsoft Office website.
If you get an error from the Mduration function, this is likely to be one of the following:
Occurs when Analysis ToolPak add-in is not enabled in your Excel.